I have this bug both on XFCE 4.4 and 4.6. To reproduce follow these steps: 0. Make sure Thunar is not launched. 1. Select a file on a desktop. 2. Cut it either with "cut" command or with "ctrl+x" 3. Open Thunar. 4. Try to paste file. It will not work until you repeat steps 1-2 without closing Thunar. Also it's impossible to paste files back to desktop from Thunar.
*** This bug has been marked as a duplicate of bug 3804 ***